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Investment coordinates in the context of housing and stock markets nexus

Jing-Ping Li, Jiao-Jiao Fan, Chi-Wei Su and Oana-Ramona Lobonţ

Applied Economics Letters, 2017, vol. 24, issue 20, 1455-1463

Abstract: This study examines the causal relationship between Chinese housing market (HM) and stock market (SM), using the bootstrap Granger full-sample causality test and subsample rolling-window estimation test. The results show that stock price (SP) has both positive and negative impacts on housing price (HP) in several sub-periods, and HP has the same effects on SP. The substitution effect drives their adverse consequences. Meanwhile, the positive effect indicates that SP has a wealth effect on HP, and HP has a credit-price effect on SP. Results provide information to Chinese financial institutions and individual investors for constructing investment portfolios within these asset markets.

Date: 2017
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Handle: RePEc:taf:apeclt:v:24:y:2017:i:20:p:1455-1463